Portfolio Performance Report - 100d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (100d)	BL (100d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	90.0%	99.0%

Cumulative Return	348.15%	320.26%	539.04%	761.17%	454.1%
CAGR﹪	6.16%	5.89%	7.67%	8.96%	7.06%

Sharpe	0.39	0.4	0.48	0.57	0.45
Prob. Sharpe Ratio	97.48%	97.76%	99.14%	99.78%	98.68%
Smart Sharpe	0.37	0.38	0.45	0.54	0.42
Sortino	0.55	0.57	0.67	0.8	0.62
Smart Sortino	0.51	0.53	0.63	0.75	0.58
Sortino/√2	0.39	0.4	0.48	0.57	0.44
Smart Sortino/√2	0.36	0.38	0.45	0.53	0.41
Omega	1.08	1.08	1.09	1.11	1.09

Max Drawdown	-62.16%	-53.78%	-55.19%	-53.31%	-59.21%
Max DD Date	2009-03-09	2009-03-09	2009-03-09	2002-12-30	2009-03-09
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2000-09-06	2007-11-01
Max DD Period End	2013-10-17	2013-03-04	2012-08-15	2004-11-23	2013-05-06
Longest DD Days	2178	2450	2404	1540	2014
Volatility (ann.)	20.73%	18.55%	19.53%	17.68%	19.65%
Calmar	0.1	0.11	0.14	0.17	0.12
Skew	-0.29	-0.11	-0.01	-0.47	-0.28
Kurtosis	11.27	12.25	11.16	5.55	13.47

Expected Daily	0.02%	0.02%	0.03%	0.03%	0.03%
Expected Monthly	0.5%	0.48%	0.62%	0.72%	0.57%
Expected Yearly	5.94%	5.68%	7.39%	8.63%	6.81%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-1.79%	-2.0%
Expected Shortfall (cVaR)	-3.52%	-3.52%	-3.52%	-3.52%	-3.52%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.11	1.09
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.94	0.96	0.92	0.98	0.95
Outlier Win Ratio	3.76	4.25	4.08	4.73	4.07
Outlier Loss Ratio	3.75	4.27	3.94	3.96	3.97

MTD	2.37%	2.57%	5.17%	4.84%	1.77%
3M	6.97%	10.94%	12.06%	4.17%	4.42%
6M	9.5%	14.12%	16.79%	2.68%	6.49%
YTD	0.09%	3.83%	6.85%	0.82%	-1.66%
1Y	8.61%	18.42%	29.36%	3.2%	4.65%
3Y (ann.)	1.78%	6.31%	10.76%	0.37%	-0.11%
5Y (ann.)	6.14%	9.1%	14.72%	6.3%	4.8%
10Y (ann.)	4.57%	9.29%	12.72%	4.48%	4.02%
All-time (ann.)	6.16%	5.89%	7.67%	8.96%	7.06%

Best Day	14.28%	11.37%	14.52%	6.52%	13.85%
Worst Day	-11.79%	-12.93%	-10.94%	-10.08%	-11.99%
Best Month	16.66%	13.95%	12.7%	18.38%	17.8%
Worst Month	-23.8%	-14.06%	-16.52%	-16.71%	-21.53%
Best Year	48.56%	26.5%	32.31%	71.35%	56.86%
Worst Year	-44.7%	-33.84%	-36.8%	-28.9%	-40.9%

Avg. Drawdown	-3.02%	-2.3%	-2.05%	-3.48%	-2.61%
Avg. Drawdown Days	54	46	32	49	49
Recovery Factor	-	-	-	-	-
Ulcer Index	0.18	0.14	0.17	0.19	0.15
Serenity Index	0.4	0.4	0.46	0.4	0.48

Avg. Up Month	4.3%	3.31%	3.71%	4.36%	4.22%
Avg. Down Month	-4.88%	-4.1%	-4.2%	-4.15%	-4.55%
Win Days	53.3%	53.12%	54.29%	53.35%	53.35%
Win Month	58.61%	60.93%	62.58%	59.93%	59.93%
Win Quarter	63.37%	65.35%	70.3%	66.33%	66.0%
Win Year	65.38%	69.23%	76.92%	69.23%	61.54%

EOY Returns

Year	EQW	^DJI	SPY	MV (100d)	BL (100d)
1999	16.93	22.39	19.28	30.07	15.11
2000	-7.54	-4.22	-7.41	-7.71	-6.89
2001	-16.16	-5.12	-10.11	-31.85	-11.06
2002	-9.94	-15.11	-20.83	-17.50	-5.95
2003	40.78	23.95	26.20	45.67	45.95
2004	25.60	3.69	10.78	37.05	24.53
2005	12.62	-0.08	5.25	12.80	14.28
2006	29.23	15.58	15.21	31.86	30.05
2007	15.49	7.29	6.28	29.62	18.79
2008	-48.95	-34.13	-37.36	-28.35	-42.50
2009	41.61	20.17	26.93	56.70	43.62
2010	12.86	11.76	15.63	16.84	11.34
2011	-11.18	7.59	4.53	-17.30	-11.73
2012	21.58	7.69	15.64	15.47	20.79
2013	19.55	24.03	28.62	21.37	17.71
2014	-4.95	7.84	13.27	6.40	-2.89
2015	-0.29	-1.07	2.41	-0.81	-0.65
2016	5.44	13.38	12.18	18.10	4.51
2017	24.15	22.61	19.88	17.14	25.85
2018	-12.32	-4.20	-3.23	-24.38	-13.14
2019	20.38	20.94	27.97	13.63	18.50
2020	14.37	13.82	22.47	21.38	14.47
2021	13.35	17.94	26.11	15.88	12.56
2022	-12.96	-7.24	-17.13	-22.04	-14.56
2023	14.26	13.49	24.11	13.61	12.73
2024	0.20	3.81	6.73	1.02	-1.56

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2013-10-17	-62.16	2178
2000-01-04	2004-01-02	-42.42	1460
2020-01-21	2020-11-13	-36.40	298
2021-11-09	2024-02-23	-30.17	837
2014-07-07	2017-05-01	-24.39	1030
2018-01-29	2019-12-31	-21.06	702
2006-05-10	2006-10-13	-15.78	157
2007-07-13	2007-09-28	-13.07	78
1999-01-07	1999-04-26	-11.73	110
2004-02-18	2004-09-20	-11.43	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (100d)

Started	Recovered	Drawdown	Days
2000-09-06	2004-11-23	-53.31	1540
2018-01-29	2021-01-06	-41.11	1074
2007-11-01	2009-07-22	-33.86	630
2021-11-17	2024-02-23	-23.13	829
2010-11-08	2013-04-09	-20.81	884
2010-04-06	2010-09-30	-16.74	178
2006-05-09	2006-09-26	-16.65	141
2015-08-18	2016-03-29	-15.31	225
2000-03-06	2000-07-24	-15.05	141
2007-07-20	2007-09-17	-13.92	60

BL (100d)

Started	Recovered	Drawdown	Days
2007-11-01	2013-05-06	-59.21	2014
2018-01-29	2020-11-23	-39.21	1030
2000-01-04	2003-10-07	-34.80	1373
2021-11-09	2024-02-23	-28.90	837
2014-07-07	2017-04-21	-22.80	1020
2006-05-10	2006-10-04	-15.37	148
2004-02-18	2004-09-30	-12.96	226
2007-07-13	2007-09-26	-12.32	76
2013-05-09	2013-08-07	-10.40	91
2007-02-27	2007-03-23	-8.61	25